Multi-stage stochastic model in portfolio selection problem
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Publication:5023481
DOI10.2298/FIL1803991BzbMATH Open1499.91111OpenAlexW2884075693WikidataQ129458696 ScholiaQ129458696MaRDI QIDQ5023481FDOQ5023481
Authors: Shokoofeh Banihashemi, Ali Moayedi Azarpour, M. Kaveh 
Publication date: 21 January 2022
Published in: Filomat (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2298/fil1803991b
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Cites Work
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- Worst-case conditional value-at-risk with application to robust portfolio management
- Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
- Multi-period optimization portfolio with bankruptcy control in stochastic market
- Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
- Nonparametric Estimation and Sensitivity Analysis of Expected Shortfall
- Selection of a dynamic supply portfolio in make-to-order environment with risks
- Portfolio selection with uncertain exit time: a robust CVaR approach
- Dual Stochastic Dominance and Quantile Risk Measures
- Computation of mean-semivariance efficient sets by the critical line algorithm
- On estimating the conditional expected shortfall
- Simulating sensitivities of conditional value at risk
- A multiobjective metaheuristic for a mean-risk multistage capacity investment problem with process flexibility
Cited In (7)
- Stochastic optimization for portfolio selection problem with mean absolute negative deviation measure
- Title not available (Why is that?)
- Mean absolute negative deviation measure for portfolio selection problem
- Multi-stage stochastic mean-semivariance-CVaR portfolio optimization under transaction costs
- A multiple objective stochastic portfolio selection problem with random beta
- A two-asset stochastic model for long-term portfolio selection
- A stochastic approach to asset selection process
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